Robust state feedback stochastic control for linear systems with time-varying parameters

Considers a multidimensional linear system with additive inputs (control) and Brownian noise. The authors work with the model in which the parameters of the system may change in time. In addition the exact form of the coefficients is not known. Rather only an interval within which these coefficients vary is given. The authors seek a robust control within an a priori defined class of state feedback linear controls. In addition there is a loss functional associated with each control. The objective is to find the lowest bound on the cost within the class of robust controls the authors are working with. Such a bound is described in terms of the parameters of the noise process and the uncertainty intervals describing variation of the coefficients of the authors´ system